I regularly get asked why I don’t consider monthly seasonality in my models for daily or sub-daily time series. For example, this recent comment on my post on seasonal periods, or this comment on my post on daily data. The fact is, I’ve never seen a time series ... [Read more...]

This website has gone through several major updates over the years. It began in 1993 as some handcrafted html files, transitioned to Joomla and later to Wordpress. Then it slowly grew into a collection of ten connected Wordpress installations that became increasingly difficult to maintain, and rather slow. So I’ve ... [Read more...]

This website has gone through several major updates over the years. It began in 1993 as some handcrafted html files, transitioned to Joomla and later to Wordpress. Then it slowly grew into a collection of ten connected Wordpress installations that became increasingly difficult to maintain, and rather slow. So I’ve ... [Read more...]

I spoke to our new crop of honours students this morning. Here are my slides, example files and links. Managing References Mendeley Zotero Paperpile Data analysis and computation Download R Download Rstudio Online R tutorial R packages fo... [Read more...]

I spoke to our new crop of honours students this morning. Here are my slides, example files and links. Managing References Mendeley Zotero Paperpile Data analysis and computation Download R Download Rstudio Online R tutorial R packages fo... [Read more...]

Last October I gave a 3-day masterclass on “Forecasting with R” in Eindhoven, Netherlands. There is a follow-up event planned for Tuesday 18 April 2017. It is particularly designed for people who attended the 3-day class, but if anyone else wants to attend they would be welcome. Please register here if you ... [Read more...]

Last October I gave a 3-day masterclass on “Forecasting with R” in Eindhoven, Netherlands. There is a follow-up event planned for Tuesday 18 April 2017. It is particularly designed for people who attended the 3-day class, but if anyone else wants to attend they would be welcome. Please register here if you ... [Read more...]

In what is now a roughly annual event, the forecast package has been updated on CRAN with a new version, this time 8.0. A few of the more important new features are described below. Check residuals A common task when building forecasting models is to c... [Read more...]

In what is now a roughly annual event, the forecast package has been updated on CRAN with a new version, this time 8.0. A few of the more important new features are described below. Check residuals A common task when building forecasting models is to check that the residuals satisfy some ... [Read more...]

From my email today You use an illustration of a seasonal arima model: ARIMA(1,1,1)(1,1,1)4 I would like to simulate data from this process then fit a model… but I am unable to find any information as to how this can be conducted… if I set phi1, P... [Read more...]

I’ve added a couple of new functions to the forecast package for R which implement two types of cross-validation for time series.K-fold cross-validation for autoregression The first is regular k-fold cross-validation for autoregressive models. Although cross-validation is sometimes not valid for time series models, it does work for ... [Read more...]

Someone sent me some questions by email, and I decided to answer some of them here. How important is it that I know and understand the underlying mathematical framework to forecasting methods? I understand conceptually how most of them work, but I feel as if I may benefit from truly ... [Read more...]

The data used in the tourism forecasting competition, discussed in Athanasopoulos et al (2011), have been made available in the Tcomp package for R. The objects are of the same format as for Mcomp package containing data from the M1 and M3 competitions... [Read more...]

Hadley Wickham’s popular R developer course is coming to Melbourne on 12-13 December 2016. Bookings can be made via Eventbrite.Hadley, of course, is the developer of the wonderful tidyverse set of R packages including ggplot2, dplyr, tidyr, readr, purrr, tibble, and many more. He is the author of several ... [Read more...]

A common problem is to forecast the aggregate of several time periods of data, using a model fitted to the disaggregated data. For example, you may have monthly data but wish to forecast the total for the next year. Or you may have weekly data, and wan... [Read more...]

I’ve pushed a minor update to the forecast package to CRAN. Some highlights are listed here. Plotting time series with ggplot2 You can now facet a time series plot like this: library(forecast) library(ggplot2) lungDeaths [Read more...]

It has been well-known since at least 1969, when Bates and Granger wrote their famous paper on “The Combination of Forecasts”, that combining forecasts often leads to better forecast accuracy. So it is helpful to have a couple of new R packages whi... [Read more...]

This is only directly relevant to my Monash students and colleagues, but the same idea might be useful for adapting to other institutions. Some recent changes in the rmarkdown and bookdown packages mean that it is now possible to produce working papers in exactly the same format as we previously ... [Read more...]

I have a new R package available to do temporal hierarchical forecasting, based on my paper with George Athanasopoulos, Nikolaos Kourentzes and Fotios Petropoulos. (Guess the odd guy out there!) It is called “thief” - an acronym for Temporal HIErar... [Read more...]

I will be giving my 3-day short-course/workshop on “Forecasting with R” in Eindhoven (Netherlands) from 19-21 October. Details at https://www.win.tue.nl/~adriemel/shortcourse.html Register here [Read more...]